Welcome back everyone, finally I have found a little time to get around to finishing off this short series on Python Backtesting Mean Reversion strategy on ETF pairs.

In the last post we got as far as creating the spread series between the two ETF price series in question (by first running a linear regression to find the hedge ratio) and ran an Augmented Dickey Fuller test, along with calculating the half-life of that spread series to see whether it was a decent candidate for a tradable strategy pair.